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q-fin.PR2013★ 1 cited
American option of stochastic volatility model with negative Fichera function on degenerate boundary
Chen Xiaoshan, Song Qingshuo
In this paper we study a general framework of American put option with stochastic volatility whose value function is associated with a 2-dimensional parabolic variational inequalit…
q-fin.PR2011
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Xiaoshan Chen, Qingshuo Song, Fahuai Yi +1
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential…